| Metric | EQW | ^DJI | SPY | MV (150d) | BL (150d) |
|---|---|---|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% | 100.0% | 94.0% | 98.0% |
| Cumulative Return | 408.02% | 320.26% | 539.04% | 728.48% | 370.51% |
| CAGR﹪ | 6.69% | 5.89% | 7.67% | 8.79% | 6.37% |
| Sharpe | 0.42 | 0.4 | 0.48 | 0.52 | 0.42 |
| Prob. Sharpe Ratio | 98.09% | 97.76% | 99.14% | 99.49% | 98.16% |
| Smart Sharpe | 0.39 | 0.38 | 0.45 | 0.49 | 0.39 |
| Sortino | 0.58 | 0.57 | 0.67 | 0.72 | 0.58 |
| Smart Sortino | 0.55 | 0.53 | 0.63 | 0.67 | 0.55 |
| Sortino/√2 | 0.41 | 0.4 | 0.48 | 0.51 | 0.41 |
| Smart Sortino/√2 | 0.39 | 0.38 | 0.45 | 0.48 | 0.39 |
| Omega | 1.08 | 1.08 | 1.09 | 1.1 | 1.08 |
| Max Drawdown | -59.82% | -53.78% | -55.19% | -55.02% | -59.08% |
| Max DD Date | 2008-11-20 | 2009-03-09 | 2009-03-09 | 2012-06-04 | 2008-11-20 |
| Max DD Period Start | 2007-11-01 | 2007-10-10 | 2007-10-10 | 2010-11-05 | 2007-11-01 |
| Max DD Period End | 2011-04-26 | 2013-03-04 | 2012-08-15 | 2021-08-31 | 2010-11-03 |
| Longest DD Days | 1453 | 2450 | 2404 | 3953 | 1374 |
| Volatility (ann.) | 20.79% | 18.55% | 19.53% | 20.27% | 19.1% |
| Calmar | 0.11 | 0.11 | 0.14 | 0.16 | 0.11 |
| Skew | -0.28 | -0.11 | -0.01 | -0.47 | -0.27 |
| Kurtosis | 12.33 | 12.25 | 11.16 | 9.9 | 14.86 |
| Expected Daily | 0.03% | 0.02% | 0.03% | 0.03% | 0.02% |
| Expected Monthly | 0.54% | 0.48% | 0.62% | 0.7% | 0.51% |
| Expected Yearly | 6.45% | 5.68% | 7.39% | 8.47% | 6.14% |
| Kelly Criterion | - | - | - | - | - |
| Risk of Ruin | - | - | - | - | - |
| Daily Value-at-Risk | -2.12% | -1.89% | -1.99% | -2.06% | -1.95% |
| Expected Shortfall (cVaR) | -3.74% | -3.74% | -3.74% | -3.74% | -3.74% |
| Max Consecutive Wins | - | - | - | - | - |
| Max Consecutive Losses | - | - | - | - | - |
| Gain/Pain Ratio | - | - | - | - | - |
| Gain/Pain (1M) | - | - | - | - | - |
| Payoff Ratio | - | - | - | - | - |
| Profit Factor | 1.08 | 1.08 | 1.09 | 1.1 | 1.08 |
| Common Sense Ratio | - | - | - | - | - |
| CPC Index | - | - | - | - | - |
| Tail Ratio | 0.93 | 0.96 | 0.92 | 0.97 | 0.93 |
| Outlier Win Ratio | 3.83 | 4.35 | 4.17 | 4.22 | 4.42 |
| Outlier Loss Ratio | 3.82 | 4.37 | 4.03 | 3.69 | 4.18 |
| MTD | 2.59% | 2.57% | 5.17% | 5.15% | 2.55% |
| 3M | 7.06% | 10.94% | 12.06% | 10.68% | 6.53% |
| 6M | 9.24% | 14.12% | 16.79% | 11.27% | 7.33% |
| YTD | 0.74% | 3.83% | 6.85% | 7.35% | 0.78% |
| 1Y | 11.09% | 18.42% | 29.36% | 16.94% | 8.52% |
| 3Y (ann.) | 3.56% | 6.31% | 10.76% | 23.74% | 2.09% |
| 5Y (ann.) | 5.78% | 9.1% | 14.72% | 19.79% | 4.89% |
| 10Y (ann.) | 3.72% | 9.29% | 12.72% | 10.11% | 3.23% |
| All-time (ann.) | 6.69% | 5.89% | 7.67% | 8.79% | 6.37% |
| Best Day | 14.86% | 11.37% | 14.52% | 13.39% | 13.82% |
| Worst Day | -12.09% | -12.93% | -10.94% | -11.96% | -11.15% |
| Best Month | 16.17% | 13.95% | 12.7% | 26.15% | 17.67% |
| Worst Month | -25.09% | -14.06% | -16.52% | -21.77% | -22.81% |
| Best Year | 56.84% | 26.5% | 32.31% | 65.31% | 59.26% |
| Worst Year | -44.11% | -33.84% | -36.79% | -40.28% | -42.12% |
| Avg. Drawdown | -3.4% | -2.3% | -2.04% | -3.42% | -2.85% |
| Avg. Drawdown Days | 55 | 46 | 32 | 62 | 52 |
| Recovery Factor | - | - | - | - | - |
| Ulcer Index | 0.16 | 0.14 | 0.17 | 0.27 | 0.15 |
| Serenity Index | 0.59 | 0.58 | 0.56 | 0.26 | 0.56 |
| Avg. Up Month | 4.78% | 3.6% | 3.86% | 4.99% | 4.25% |
| Avg. Down Month | -5.84% | -4.5% | -4.62% | -5.01% | -5.32% |
| Win Days | 53.4% | 53.12% | 54.29% | 54.14% | 53.57% |
| Win Month | 55.96% | 60.93% | 62.91% | 60.42% | 59.86% |
| Win Quarter | 62.38% | 65.35% | 70.3% | 60.2% | 63.64% |
| Win Year | 65.38% | 69.23% | 76.92% | 61.54% | 65.38% |
| Year | EQW | ^DJI | SPY | MV (150d) | BL (150d) |
|---|---|---|---|---|---|
| 1999 | 23.68 | 22.39 | 19.28 | 19.45 | 6.91 |
| 2000 | -13.41 | -4.22 | -7.41 | 2.35 | -13.31 |
| 2001 | -8.20 | -5.12 | -10.11 | -9.90 | -7.24 |
| 2002 | -9.89 | -15.11 | -20.83 | -20.44 | -5.92 |
| 2003 | 41.59 | 23.95 | 26.20 | 44.86 | 47.39 |
| 2004 | 26.02 | 3.69 | 10.78 | 32.80 | 25.23 |
| 2005 | 16.82 | -0.08 | 5.25 | 16.89 | 13.54 |
| 2006 | 29.10 | 15.58 | 15.21 | 31.18 | 29.72 |
| 2007 | 19.97 | 7.29 | 6.28 | 26.92 | 21.42 |
| 2008 | -47.06 | -34.13 | -37.36 | -39.98 | -44.13 |
| 2009 | 50.14 | 20.17 | 26.93 | 52.36 | 46.31 |
| 2010 | 20.58 | 11.76 | 15.63 | 29.15 | 20.81 |
| 2011 | -16.31 | 7.59 | 4.53 | -46.63 | -14.35 |
| 2012 | 22.81 | 7.69 | 15.64 | -3.46 | 17.27 |
| 2013 | 9.37 | 24.03 | 28.62 | 10.64 | 14.12 |
| 2014 | -4.15 | 7.84 | 13.27 | -8.87 | -2.71 |
| 2015 | -10.85 | -1.07 | 2.41 | -6.17 | -7.99 |
| 2016 | 9.23 | 13.38 | 12.18 | 13.21 | 5.51 |
| 2017 | 24.15 | 22.61 | 19.88 | 24.72 | 23.39 |
| 2018 | -12.80 | -4.20 | -3.23 | -4.26 | -13.59 |
| 2019 | 17.45 | 20.94 | 27.97 | 10.00 | 15.80 |
| 2020 | 11.12 | 13.82 | 22.47 | 14.26 | 10.19 |
| 2021 | 8.83 | 17.94 | 26.11 | 23.16 | 11.00 |
| 2022 | -6.52 | -7.24 | -17.13 | 43.51 | -10.72 |
| 2023 | 14.43 | 13.49 | 24.11 | 0.28 | 11.29 |
| 2024 | 0.83 | 3.81 | 6.73 | 7.19 | 0.85 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-11-01 | 2011-04-26 | -59.82 | 1273 |
| 2000-01-04 | 2003-12-26 | -41.42 | 1453 |
| 2018-01-29 | 2020-12-16 | -41.02 | 1053 |
| 2014-07-07 | 2017-07-25 | -31.03 | 1115 |
| 2011-05-02 | 2013-01-18 | -27.33 | 628 |
| 2022-01-13 | 2023-07-25 | -23.27 | 559 |
| 2006-05-10 | 2006-10-25 | -18.31 | 169 |
| 2007-07-16 | 2007-09-28 | -14.38 | 75 |
| 2013-05-09 | 2013-09-17 | -13.41 | 132 |
| 2004-02-18 | 2004-09-20 | -13.21 | 216 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-10-10 | 2013-03-04 | -53.78 | 1973 |
| 2000-01-18 | 2006-10-02 | -37.85 | 2450 |
| 2020-02-13 | 2020-11-13 | -37.09 | 275 |
| 2022-01-05 | 2023-12-12 | -21.94 | 707 |
| 2018-10-04 | 2019-07-02 | -18.77 | 272 |
| 2015-05-20 | 2016-07-11 | -14.48 | 419 |
| 2018-01-29 | 2018-09-19 | -11.58 | 234 |
| 1999-08-26 | 1999-12-22 | -11.53 | 119 |
| 2007-07-20 | 2007-09-28 | -8.25 | 71 |
| 2014-01-02 | 2014-04-29 | -7.26 | 118 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-10-10 | 2012-08-15 | -55.19 | 1772 |
| 2000-03-27 | 2006-10-25 | -47.52 | 2404 |
| 2020-02-20 | 2020-08-07 | -33.72 | 170 |
| 2022-01-04 | 2023-12-12 | -24.50 | 708 |
| 2018-09-21 | 2019-04-11 | -19.35 | 203 |
| 2015-07-21 | 2016-04-15 | -13.02 | 270 |
| 1999-07-19 | 1999-11-16 | -11.70 | 121 |
| 2018-01-29 | 2018-08-03 | -10.10 | 187 |
| 2020-09-03 | 2020-11-10 | -9.44 | 69 |
| 2000-01-20 | 2000-03-16 | -9.30 | 57 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2010-11-05 | 2021-08-31 | -55.02 | 3953 |
| 2007-11-07 | 2010-07-22 | -47.61 | 989 |
| 2000-03-06 | 2004-01-02 | -37.99 | 1398 |
| 2023-01-04 | 2024-02-14 | -19.45 | 407 |
| 2022-04-08 | 2022-11-03 | -17.09 | 210 |
| 2007-07-16 | 2007-09-26 | -16.82 | 73 |
| 2006-05-11 | 2006-09-26 | -15.38 | 139 |
| 2004-04-13 | 2004-07-01 | -12.84 | 80 |
| 2007-02-26 | 2007-04-02 | -12.56 | 36 |
| 2005-03-08 | 2005-07-29 | -11.98 | 144 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-11-01 | 2010-11-03 | -59.08 | 1099 |
| 2018-01-29 | 2021-01-04 | -39.38 | 1072 |
| 2000-01-04 | 2003-10-08 | -35.94 | 1374 |
| 2011-05-02 | 2013-05-07 | -27.33 | 737 |
| 2014-07-07 | 2017-07-12 | -26.97 | 1102 |
| 2022-01-13 | 2024-02-23 | -21.96 | 772 |
| 2006-05-10 | 2006-10-13 | -15.20 | 157 |
| 2004-02-18 | 2004-09-30 | -14.13 | 226 |
| 2007-07-13 | 2007-09-26 | -14.05 | 76 |
| 2013-05-09 | 2013-09-17 | -11.60 | 132 |